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Cumulative prospect theory : a parametric analysis of the functional forms and applications
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Resumo(s)
Este trabalho apresenta um estudo empírico sobre cumulative prospect theory através do estudo da função de utilidade e a função de probabilidade distorcida.
Os resultados obtidos estão de acordo com a literatura, que mostra que a função da utilidade é côncava no domínio dos ganhos, e quase linear no domínio das perdas.
Não só mostra que a função da probabilidade distorcida tem a forma de um "S" inverso tanto no domínio dos ganhos como no domínio das perdas. Também aborda o estudo de variáveis demográficas relacionando-as com os coeficientes das funções mencionadas anteriormente, concluindo assim que os homens estão mais dispostos a correr riscos do que as mulheres.
Por fim, através dos coeficientes calculados, foi possível aplicar os resultados ao mercado financeiro.
Primeiro criando uma ponte entre o coeficiente de loss aversion e a escala de DOSPERT, o que irá facilitar a determinação do carteira mais adequado para cada individuo.
Segundo, aplicando a cumulative prospect theory à modern portfolio theory para o mercado Português. Isto irá permitir que as instituições financeiras consigam determinar a carteira óptima do mercado, tendo em conta as probabilidades distorcidas.
This work presents an empirical study of the cumulative prospect theory using a Portuguese sample. We estimate the value function and the probability weighting function with positive and negative outcomes. The results confirm previous works that the value function is concave in the gain domain and almost linear in the loss domain. Our results also show an inverse S-shape for the probability weighting function in both loss and gain domain. We also look into the relation of the coefficient from the already mentioned functions with some demographic variables. It was possible to conclude that males are more willing to take risks than females. Finally, using the calculated coefficients we discuss the applicability of the results in the context of financial markets. First we establish a bridge between the loss aversion coefficient and the DOSPERT-scale, which will provide an easier way for financial institutions to present the correct efficient portfolio for each individual. Second we apply the cumulative prospect theory to the modern portfolio theory, for the Portuguese market. This will allow the financial institutions to create an efficient portfolio of the market, taking into account the probabilities distortions
This work presents an empirical study of the cumulative prospect theory using a Portuguese sample. We estimate the value function and the probability weighting function with positive and negative outcomes. The results confirm previous works that the value function is concave in the gain domain and almost linear in the loss domain. Our results also show an inverse S-shape for the probability weighting function in both loss and gain domain. We also look into the relation of the coefficient from the already mentioned functions with some demographic variables. It was possible to conclude that males are more willing to take risks than females. Finally, using the calculated coefficients we discuss the applicability of the results in the context of financial markets. First we establish a bridge between the loss aversion coefficient and the DOSPERT-scale, which will provide an easier way for financial institutions to present the correct efficient portfolio for each individual. Second we apply the cumulative prospect theory to the modern portfolio theory, for the Portuguese market. This will allow the financial institutions to create an efficient portfolio of the market, taking into account the probabilities distortions
Descrição
Mestrado em Finanças
Palavras-chave
Cumulative Prospect Theory Probability Weighting Function DOSPERT-Scale Fronteira Eficiente Efficient Frontier
Contexto Educativo
Citação
Cunha, Ana Torre do Valle de Arriaga e (2012). "Cumulative prospect theory : a parametric analysis of the functional forms and applications". Dissertação de Mestrado, Universidade Técnica de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão